Fractional Calculus and Fractional Processes with Applications to Financial Economics

Written By Hasan Fallahgoul
Fractional Calculus and Fractional Processes with Applications to Financial Economics
  • Publsiher : Academic Press
  • Release : 06 October 2016
  • ISBN : 0128042842
  • Pages : 118 pages
  • Rating : /5 from reviews
GET THIS BOOKFractional Calculus and Fractional Processes with Applications to Financial Economics


Download or read book entitled Fractional Calculus and Fractional Processes with Applications to Financial Economics by author: Hasan Fallahgoul which was release on 06 October 2016 and published by Academic Press with total page 118 pages . This book available in PDF, EPUB and Kindle Format. Fractional Calculus and Fractional Processes with Applications to Financial Economics presents the theory and application of fractional calculus and fractional processes to financial data. Fractional calculus dates back to 1695 when Gottfried Wilhelm Leibniz first suggested the possibility of fractional derivatives. Research on fractional calculus started in full earnest in the second half of the twentieth century. The fractional paradigm applies not only to calculus, but also to stochastic processes, used in many applications in financial economics such as modelling volatility, interest rates, and modelling high-frequency data. The key features of fractional processes that make them interesting are long-range memory, path-dependence, non-Markovian properties, self-similarity, fractal paths, and anomalous diffusion behaviour. In this book, the authors discuss how fractional calculus and fractional processes are used in financial modelling and finance economic theory. It provides a practical guide that can be useful for students, researchers, and quantitative asset and risk managers interested in applying fractional calculus and fractional processes to asset pricing, financial time-series analysis, stochastic volatility modelling, and portfolio optimization. Provides the necessary background for the book's content as applied to financial economics Analyzes the application of fractional calculus and fractional processes from deterministic and stochastic perspectives

Fractional Calculus and Fractional Processes with Applications to Financial Economics

Fractional Calculus and Fractional Processes with Applications to Financial Economics
  • Author : Hasan Fallahgoul,Sergio Focardi,Frank Fabozzi
  • Publisher : Academic Press
  • Release Date : 2016-10-06
  • Total pages : 118
  • ISBN : 0128042842
GET BOOK

Summary : Fractional Calculus and Fractional Processes with Applications to Financial Economics presents the theory and application of fractional calculus and fractional processes to financial data. Fractional calculus dates back to 1695 when Gottfried Wilhelm Leibniz first suggested the possibility of fractional derivatives. Research on fractional calculus started in full earnest in the ...

Mathematical Economics

Mathematical Economics
  • Author : Vasily E. Tarasov
  • Publisher : MDPI
  • Release Date : 2020-06-03
  • Total pages : 278
  • ISBN : 0128042842
GET BOOK

Summary : This book is devoted to the application of fractional calculus in economics to describe processes with memory and non-locality. Fractional calculus is a branch of mathematics that studies the properties of differential and integral operators that are characterized by real or complex orders. Fractional calculus methods are powerful tools for ...

Fractional order Modeling of Nuclear Reactor From Subdiffusive Neutron Transport to Control oriented Models

Fractional order Modeling of Nuclear Reactor  From Subdiffusive Neutron Transport to Control oriented Models
  • Author : Vishwesh Vyawahare,Paluri S. V. Nataraj
  • Publisher : Springer
  • Release Date : 2018-02-03
  • Total pages : 200
  • ISBN : 0128042842
GET BOOK

Summary : This book addresses the topic of fractional-order modeling of nuclear reactors. Approaching neutron transport in the reactor core as anomalous diffusion, specifically subdiffusion, it starts with the development of fractional-order neutron telegraph equations. Using a systematic approach, the book then examines the development and analysis of various fractional-order models representing ...

Stochastic Calculus for Fractional Brownian Motion and Related Processes

Stochastic Calculus for Fractional Brownian Motion and Related Processes
  • Author : IUliia S. Mishura,I︠U︡lii︠a︡ S. Mishura,Yuliya Mishura,Julija S. Mišura,Ûliâ Stepanovna Mišura
  • Publisher : Springer Science & Business Media
  • Release Date : 2008-01-02
  • Total pages : 393
  • ISBN : 0128042842
GET BOOK

Summary : This volume grew out of a series of preprints which were written and circulated - tween 1993 and 1994. Around the same time, related work was done independently by Harder 40] and Laumon 62]. In writing this text based on a revised version of these preprints that were widely distributed in summer 1995, I ?nally ...

Fractional Calculus

Fractional Calculus
  • Author : Dumitru Baleanu,Kai Diethelm,Enrico Scalas,Juan J Trujillo
  • Publisher : World Scientific
  • Release Date : 2016-09-15
  • Total pages : 476
  • ISBN : 0128042842
GET BOOK

Summary : This book will give readers the possibility of finding very important mathematical tools for working with fractional models and solving fractional differential equations, such as a generalization of Stirling numbers in the framework of fractional calculus and a set of efficient numerical methods. Moreover, we will introduce some applied topics, ...

Stochastics of Environmental and Financial Economics

Stochastics of Environmental and Financial Economics
  • Author : Fred Espen Benth,Giulia Di Nunno
  • Publisher : Springer
  • Release Date : 2015-10-23
  • Total pages : 360
  • ISBN : 0128042842
GET BOOK

Summary : These Proceedings offer a selection of peer-reviewed research and survey papers by some of the foremost international researchers in the fields of finance, energy, stochastics and risk, who present their latest findings on topical problems. The papers cover the areas of stochastic modeling in energy and financial markets; risk management ...

Stochastic Calculus for Fractional Brownian Motion and Applications

Stochastic Calculus for Fractional Brownian Motion and Applications
  • Author : Francesca Biagini,Yaozhong Hu,Bernt Øksendal,Tusheng Zhang
  • Publisher : Springer Science & Business Media
  • Release Date : 2008-02-17
  • Total pages : 330
  • ISBN : 0128042842
GET BOOK

Summary : The purpose of this book is to present a comprehensive account of the different definitions of stochastic integration for fBm, and to give applications of the resulting theory. Particular emphasis is placed on studying the relations between the different approaches. Readers are assumed to be familiar with probability theory and ...

Fractional Calculus

Fractional Calculus
  • Author : Dumitru Baleanu,Juan J. Trujillo
  • Publisher : Series on Complexity, Nonlinearity, and Chaos
  • Release Date : 2016-09-19
  • Total pages : 448
  • ISBN : 0128042842
GET BOOK

Summary : This book will give readers the possibility of finding very important mathematical tools for working with fractional models and solving fractional differential equations, such as a generalization of Stirling numbers in the framework of fractional calculus and a set of efficient numerical methods. Moreover, we will introduce some applied topics, ...

Theory and Applications of Fractional Differential Equations

Theory and Applications of Fractional Differential Equations
  • Author : A.A. Kilbas,H. M. Srivastava,J.J. Trujillo
  • Publisher : Elsevier
  • Release Date : 2006-03-02
  • Total pages : 523
  • ISBN : 0128042842
GET BOOK

Summary : This work aims to present, in a systematic manner, results including the existence and uniqueness of solutions for the Cauchy Type and Cauchy problems involving nonlinear ordinary fractional differential equations....

Future Perspectives in Risk Models and Finance

Future Perspectives in Risk Models and Finance
  • Author : Alain Bensoussan,Dominique Guegan,Charles S. Tapiero
  • Publisher : Springer
  • Release Date : 2014-11-20
  • Total pages : 315
  • ISBN : 0128042842
GET BOOK

Summary : This book provides a perspective on a number of approaches to financial modelling and risk management. It examines both theoretical and practical issues. Theoretically, financial risks models are models of a real and a financial “uncertainty”, based on both common and private information and economic theories defining the rules that ...

Proceedings

Proceedings
  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 2004
  • Total pages : 212
  • ISBN : 0128042842
GET BOOK

Summary : Read online Proceedings written by , published by which was released on 2004. Download full Proceedings Books now! Available in PDF, ePub and Kindle....

Processes with Long Range Correlations

Processes with Long Range Correlations
  • Author : Govindan Rangarajan,Mingzhou Ding
  • Publisher : Springer
  • Release Date : 2008-01-11
  • Total pages : 398
  • ISBN : 0128042842
GET BOOK

Summary : Processes with long range correlations occur in a wide variety of fields ranging from physics and biology to economics and finance. This book, suitable for both graduate students and specialists, brings the reader up to date on this rapidly developing field. A distinguished group of experts have been brought together ...

Theory and Applications of Long Range Dependence

Theory and Applications of Long Range Dependence
  • Author : Paul Doukhan,George Oppenheim,Murad Taqqu
  • Publisher : Springer Science & Business Media
  • Release Date : 2002-12-13
  • Total pages : 720
  • ISBN : 0128042842
GET BOOK

Summary : The area of data analysis has been greatly affected by our computer age. For example, the issue of collecting and storing huge data sets has become quite simplified and has greatly affected such areas as finance and telecommunications. Even non-specialists try to analyze data sets and ask basic questions about ...

Advanced Mathematical Methods for Finance

Advanced Mathematical Methods for Finance
  • Author : Julia Di Nunno,Bernt Øksendal
  • Publisher : Springer Science & Business Media
  • Release Date : 2011-03-29
  • Total pages : 536
  • ISBN : 0128042842
GET BOOK

Summary : This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, ...

Periodical Title and Abbreviation by Abbreviation

Periodical Title and Abbreviation by Abbreviation
  • Author : Leland G. Alkire,Cheryl Westerman-Alkire
  • Publisher : Gale Group
  • Release Date : 2005
  • Total pages : 1614
  • ISBN : 0128042842
GET BOOK

Summary : Volume 1 is a comprehensive dictionary with more than 230,000 entries. It covers periodicals from a wide variety of subjects, including: science, social sciences, humanities, law, medicine, religion, library science, engineering, education, business, and art. Volume 1lists, in a single in letter-by-letter sequence, abbreviations commonly used for periodicals together with their full ...